Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?

Serie: Documentos de Trabajo. 0541.

Autor: Francisco Alonso y Roberto Blanco.

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Is the volatility of the EONIA transmitted to longer-term euro money market interest rates? (1 MB)

Resumen

This paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest rates during most days. However, the abnormally high volatility during the last two days of the maintenance period does not seem to be transmitted to longer term rates.